Custard would be my favorite too.

Paczki, a traditional deep-fried Polish doughnut, topped w/ conf or glazed, and filled w/ fruit preserves or custard.
Paczki / Epicurious recipe
ING package (1/4 oz) yeast 2 cups warm whole milk (110?-115?F) 5 egg yolks plus one whole egg 1/2 cup sugar 1/4 cup butter , melted 1/2 tsp vanilla extract 1 tsp salt 6–7 cups flour vegetable oil for frying
METHOD w/ stand mixer paddle, stir yeast in the warm milk. Add 2 cups of the flour. Mix and let stand about 1/2 hour, until very bubbly. In the meantime, beat the egg yolks and whole egg until light and fluffy (about 5 minutes).
To the proofed yeast, add the melted butter, sugar, salt and vanilla one at a time. Add beaten eggs and mix until well blended. Switch to the dough hook and slowly add the rest of the flour to the bowl and knead on low speed until a very soft dough forms. You may not use all of the flour. Cover the bowl and let rise in a warm place until doubled (about 2 hours). When the dough has doubled, uncover and punch down. Pat dough onto a floured work surface, down to 1/2 inch. Using a cookie cutter, glass, or doughnut cutter, gently cut circles and place on parchment paper lined baking sheets. Wax paper may also be used. Cover and let rise for 20 minutes.
Heat oil to 350 deg. W/ 3 to 4 at a time, drop doughnuts into the oil; fry on one side until golden brown. Turn over and fry 2nd side golden brown. Using tongs, remove the fried doughnuts and drain on p/towels. Let cool completely, then fill and sprinkle with powdered sugar or glaze.